Crypto Derivatives: Analytics Report – Week 30

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for both BTC and ETH from around -10% at the start of the month to trade at neutral levels. That rebound in sentiment away from the bearish put-premium that has mostly dominated the first half of this year has occurred alongside a recovery in spot price – with BTC now trading above $66K.

At-the-money implied volatility levels also trade close to year-to-date lows, despite ongoing conflict in the Middle East. The US launched its tenth consecutive round of strikes on Iran, though short-dated BTC IV continues to trade slightly above 30%.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

1-Month Tenor ATM Implied Volatility

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Despite the 10 consecutive night of strikes from the US on Iran, implied volatility levels have traded sideways around 30% since early-July.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – At-the-money implied volatility for short- dated ETH options has traded close to its year-to-date lows of 40% over the past week.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – As BTC trades above $66K, sentiment over the near term in options markets is now at neutral levels. 7-day 25-delta put-call skew has increased from -11% at the start of the month to 0%.

ETH 25-Delta Risk Reversal – Similar to BTC, short-dated skew in ETH options is now also at neutral levels. That coincides with a recovery in ETH’s spot price above $1,900 – a level last seen in early June.

Market Composite Volatility Surface

BTC SVI – 8:00 UTC Snapshot.

ETH SVI – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Data Reference

Block Scholes Risk Appetite (BTC/ETH)

Block Scholes’ Risk Appetite index uses a composite spot index price; POST /api/v1/price/index

1-month ATM implied volatility (BTC/ETH)

At-the-money IV at a constant 1-month tenor; forward- looking vol expectations; POST /api/v1/iv/moneyness

Volatility term structure & SVI ATM IV by tenor (BTC/ETH)

SVI-fitted ATM IV across constant tenors (7d / 14d / 30d / 90d / 180d); POST /api/v1/modelparams

25-delta risk reversal / skew (BTC/ETH)

Spread between 25Δ call and 25Δ put IV; a measure of upside vs downside option demand; POST /api/v1/iv/risk-reversal

Market composite volatility surface (BTC/ETH)

BlockScholes composite SVI surface across forward moneyness and tenor, aggregating market-wide options pricing into one clean fitted surface; POST /api/v1/iv/moneyness + POST /api/v1/modelparams

Cross-exchange volatility smiles (BTC/ETH)

Venue-level (Deribit, Bybit) and composite smiles at a fixed tenor, for comparing exchange pricing against the market composite; POST /api/v1/iv/moneyness

Constant-maturity volatility smiles (BTC/ETH)

Like-for-like smile at a fixed tenor across strikes, showing how the smile shifted between dates; POST /api/v1/iv/strike

Disclaimer

This article reflects the personal views of its author, not Deribit or its affiliates. Deribit has neither reviewed nor endorsed its content.

Deribit does not offer investment advice or endorsements. The information herein is informational and shouldn’t be seen as financial advice. Always do your own research and consult professionals before investing.

Financial investments carry risks, including capital loss. Neither Deribit nor the article’s author assumes liability for decisions based on this content.